CRS Options History — November 2008

In November 2008, CRS traded between $11.93 and $19.93. ATM implied volatility averaged 98.0%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded below realized volatility by 17.4% (HV 20d: 115.4%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.20.

Notable Days

  • 2008-11-03: Highest Volume — 986 contracts
  • 2008-11-13: Largest IV drop — 21.2% change
  • 2008-11-12: Highest IV Rank — 70.1%
  • 2008-11-21: Largest Expected Move — 33.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.14$11.93$19.93$19.30$16.66
Max Pain$25.39$20.00$30.00$22.50$20.00
ATM IV98.0%81.7%116.2%87.4%81.7%
Expected Move27.6%23.4%33.2%25.0%23.4%
HV 20d115.4%97.9%133.8%133.8%124.1%
HV 60d105.8%97.7%116.9%97.7%116.9%
IV Rank54.1%39.8%70.1%44.8%39.8%
IV Percentile91.1%82.9%96.4%90.9%82.9%
Term Structure-5.2%-14.4%6.0%-0.5%6.0%
VWIV92.3%82.5%113.4%85.9%86.5%
Skew 25d16.3%7.8%24.4%16.5%15.3%
Skew 10d34.6%23.7%49.9%32.8%49.9%
Call IV 25d88.1%76.1%108.7%81.1%76.8%
Put IV 25d104.4%91.7%129.7%97.6%92.1%
Bid-Ask Spread %13.759.3822.8622.8610.39
Gamma HHI0.210.140.350.200.16
Net GEX-19.3K-39.6K-1.6K-39.6K-1.6K
Net DEX6.4M3.3M7.6M7.0M3.3M
Net VEX-12.3K-20.5K-5.5K-17.1K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0118.950.600.01
Total Volume36337986986144
Total OI15,328.31612,14316,80415,42712,242

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$19.30$22.5087.4%25.0%133.8%44.8%85.9%16.5%-0.5%-39.6K7.0M-17.1K0.6022.86N/AN/A6173699,4895,938
2008-11-04$19.93$20.0083.4%23.9%127.3%41.3%82.5%12.8%0.6%-32.4K6.7M-20.5K0.7316.02N/AN/A1641199,9666,231
2008-11-05$18.00$20.0090.7%26.0%132.0%47.7%84.3%12.3%-3.7%-30.5K7.4M-15.9K0.5618.85N/AN/A61034010,0756,222
2008-11-06$16.92$20.0097.4%27.9%129.3%53.6%97.9%7.8%-6.7%-24.1K7.2M-15.7K0.8513.90N/AN/A15513110,3966,354
2008-11-07$17.73$30.0092.9%25.5%130.6%49.6%83.2%14.5%-4.9%-28.1K7.3M-16.6K2.8715.21N/AN/A6217810,3846,420
2008-11-10$17.57$30.0097.5%25.6%113.7%53.7%88.4%14.8%-5.9%-26.0K7.2M-15.7K18.9510.32N/AN/A193609,6386,322
2008-11-11$17.16$30.0098.6%26.2%111.8%54.7%88.3%16.1%-5.9%-28.0K7.3M-14.6K0.249.38N/AN/A288709,6526,408
2008-11-12$15.55$30.00116.2%28.7%102.8%70.1%98.1%15.6%-8.2%-25.4K7.5M-11.5K0.7013.11N/AN/A101719,7316,400
2008-11-13$17.49$30.0091.5%26.2%100.0%48.4%88.2%15.4%-6.6%-23.7K7.1M-14.7K0.4512.83N/AN/A161729,7566,207
2008-11-14$15.97$30.00101.5%29.1%104.3%57.2%93.6%15.5%-10.7%-21.1K7.3M-11.9K2.1012.42N/AN/A2926139,8256,191
2008-11-17$15.56$30.00102.7%29.4%98.0%58.2%91.1%15.6%-11.5%-20.9K7.6M-11.1K0.239.41N/AN/A1493410,0176,410
2008-11-18$15.31$30.00102.0%29.2%97.9%57.7%103.6%17.2%-10.7%-25.5K7.5M-10.7K0.1313.44N/AN/A122169,9936,273
2008-11-19$13.43$25.00112.0%32.1%102.4%66.4%113.4%16.4%-12.8%-16.4K6.7M-7.7K6.7310.17N/AN/A221489,9885,915
2008-11-20$11.93$25.00115.4%33.1%107.8%69.4%100.7%21.0%-14.4%-6.1K6.3M-5.5K3.0618.26N/AN/A541659,9995,912
2008-11-21$13.23$25.00115.9%33.2%116.9%69.8%92.2%24.4%-13.8%-6.3K6.6M-6.7K2.5915.51N/AN/A23159810,0365,816
2008-11-24$14.21$25.0094.9%27.2%119.9%51.5%94.5%21.5%2.0%-4.6K4.7M-8.0K0.7513.63N/AN/A1371038,2834,458
2008-11-25$14.44$20.0090.6%26.0%116.8%47.7%93.1%18.0%4.4%-3.1K3.6M-8.5K0.1611.27N/AN/A3258,4123,731
2008-11-26$16.21$20.0089.6%25.7%123.6%46.8%87.9%18.4%4.4%-4.1K3.5M-10.3K0.2014.20N/AN/A121248,4403,708
2008-11-28$16.66$20.0081.7%23.4%124.1%39.8%86.5%15.3%6.0%-1.6K3.3M-10.9K0.0110.39N/AN/A14228,5413,701